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How to Create a Monte Carlo Simulation Study using R: with Applications on Econometric Models

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  • Abonazel, Mohamed R.

Abstract

In this workshop, we provide the main steps for making the Monte Carlo simulation study using R language. A Monte Carlo simulation is very common used in many statistical and econometric studies by many researchers. We will extend these researchers with the basic information about how to create their R-codes in an easy way. Moreover, this workshop provides some empirical examples in econometrics as applications. Finally, the simple guide for creating any simulation R-code has been produced.

Suggested Citation

  • Abonazel, Mohamed R., 2015. "How to Create a Monte Carlo Simulation Study using R: with Applications on Econometric Models," MPRA Paper 68708, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:68708
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    File URL: https://mpra.ub.uni-muenchen.de/68708/1/MPRA_paper_68708.pdf
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    References listed on IDEAS

    as
    1. Youssef, Ahmed & Abonazel, Mohamed R., 2015. "Alternative GMM Estimators for First-order Autoregressive Panel Model: An Improving Efficiency Approach," MPRA Paper 68674, University Library of Munich, Germany.
    2. Youssef, Ahmed H. & El-Sheikh, Ahmed A. & Abonazel, Mohamed R., 2014. "New GMM Estimators for Dynamic Panel Data Models," MPRA Paper 68676, University Library of Munich, Germany.
    3. Barreto,Humberto & Howland,Frank, 2006. "Introductory Econometrics," Cambridge Books, Cambridge University Press, number 9780521843195.
    4. R. Kim Craft, 2003. "Using Spreadsheets to Conduct Monte Carlo Experiments for Teaching Introductory Econometrics," Southern Economic Journal, John Wiley & Sons, vol. 69(3), pages 726-735, January.
    5. Mousa, Amani & Youssef, Ahmed H. & Abonazel, Mohamed R., 2011. "A Monte Carlo Study for Swamy’s Estimate of Random Coefficient Panel Data Model," MPRA Paper 49768, University Library of Munich, Germany.
    6. Youssef, Ahmed H. & Abonazel, Mohamed R., 2009. "A Comparative Study for Estimation Parameters in Panel Data Model," MPRA Paper 49713, University Library of Munich, Germany.
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    Cited by:

    1. Mohamed Reda Abonazel, 2020. "Handling Outliers and Missing Data in Regression Models Using R: Simulation Examples," Academic Journal of Applied Mathematical Sciences, Academic Research Publishing Group, vol. 6(8), pages 187-203, 10-2020.
    2. Abonazel, Mohamed R., 2016. "Bias Correction Methods for Dynamic Panel Data Models with Fixed Effects," MPRA Paper 70628, University Library of Munich, Germany.

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    More about this item

    Keywords

    Econometric Models; Monte Carlo simulation; R programming;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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